"Unidentified militants believed to be affiliated with Al-Qaeda opened fire on Murad Amoudi, head of criminal investigations in Hadhramaut, and an accompanying police officer, killing them both instantly," the source, requesting anonymity, told The Anadolu Agency.
The attackers fled the scene following the shooting, he added.
There has been no claim of responsibility for the attack.
In recent months, scores of security personnel have been killed in attacks in Yemen's southern region, for which officials blame Al-Qaeda-linked militants.
Politically fractious Yemen has recently appeared on the verge of civil war, with the Shiite Houthi militant group seeking to expand its influence beyond capital Sanaa, which it took over last September.